[Facts] Welsh help
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To my knowledge - which is limited - a single F in Welsh represents the English V sound. To get an F sound in Welsh, the spelling is Ff. That makes me sceptical about Fynnlae, but it isn't positive proof.
Yes, in Welsh a single F would be pronounced like a V in English and the double F is an English F sound. I would guess that if it is used in Wales, it is still just someone spelling Finlay in a variant way. Finlay does seem to be related to Fionnlagh, but that is Scottish Gaelic and not Welsh.